It usually hurts the first time because your hymen has to break. It may hurt for just a moment, or it can hurt for a couple of days (it happened to me ¬¬). I didn't bleed though, but some girls do.
Also, the bigger the guy is, the more uncomfortable, but after having it for a few times you get used to it and you can actually enjoy it. Always use protection too! I didn't use it my first time, and for some reason I was almost two weeks late. I was scared out of my mind that I might be pregnant, but thankfully I wasn't.
Good luck!